Table 4: Diagnostic tests.
(a)

Full BEKK(1,1,1)Diagonal BEKK(1,1,1)

166.771270.1556.99643.2839.72012.224
(0.000)(0.000)(0.857)(0.00202)(0.640)(0.427)
5.3011.39311.84320.66216.07337.287
(0.947)(0.999)(0.458)(0.055)(0.187)(0.021)
6.2042.77611.7607.2362.9393.197
(0.905)(0.996)(0.465)(0.654)(0.965)(0.805)
1.8892.9262.7220.7531.0060.410
6.96919.89116.8824.45621.92317.2967
5449.4933724.5122725.128380.1933134017700

(b)

CCC-GARCH(1,1)DCC-GARCH(1,1)

45.3180.8381.0668.7355.7115.390
(0.0009)(0.999)(0.999)(0.725)(0.901)(0.949)
8.7580.0120.0134.4911.5931.690
(0.723)(1.000)(1.000)(0.972)(0.997)(0.995)
0.93950.00270.00350.2291.1761.197
(0.998)(1.000)(1.000)(1.000)(0.999)(0.998)
1.8772.8962.7171.9043.1412.936
5.99418.41515.8706.81724.62621.209
4333.86232283.72024376.485283.91355953.07141956.369

Notes: is the Kurtosis (exc), is the skewness coefficient, is the Jarque-Bera normality test, and are, respectively, the 12th order Ljung-Box tests for serial correlation in the standardized and squared standardized residuals (null hypothesis: no autocorrelation). LM is the test for ARCH effects (null hypothesis: no ARCH effects).